Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0036 |
| Annualized Std Dev | 0.1710 |
| Annualized Sharpe (Rf=0%) | 0.0209 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3382.0000 |
| NAs | 1.0000 |
| Minimum | -0.1726 |
| Quartile 1 | -0.0024 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0029 |
| Maximum | 0.1824 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0001 |
| Stdev | 0.0108 |
| Skewness | -0.6977 |
| Kurtosis | 77.3263 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0079 |
| Gain Deviation | 0.0091 |
| Loss Deviation | 0.0106 |
| Downside Deviation (MAR=210%) | 0.0123 |
| Downside Deviation (Rf=0%) | 0.0079 |
| Downside Deviation (0%) | 0.0079 |
| Maximum Drawdown | 0.4944 |
| Historical VaR (95%) | -0.0089 |
| Historical ES (95%) | -0.0237 |
| Modified VaR (95%) | -0.0029 |
| Modified ES (95%) | -0.0029 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-09-30 | 2008-10-27 | 2010-07-30 | -0.4944 | 462 | 20 | 442 |
| 2013-01-03 | 2020-03-18 | NA | -0.3620 | 2068 | 1814 | NA |
| 2008-01-02 | 2008-09-17 | 2008-09-29 | -0.2439 | 188 | 180 | 8 |
| 2010-11-05 | 2011-10-04 | 2012-05-03 | -0.0899 | 376 | 230 | 146 |
| 2012-05-08 | 2012-06-01 | 2012-06-29 | -0.0414 | 38 | 18 | 20 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.3 | 0.7 | 2.3 | 3.2 |
| 2008 | 1.3 | 0.4 | -0.2 | -0.5 | -0.3 | -2.5 | -0.4 | 0.3 | 4.7 | -3.8 | -1.5 | -0.9 | -3.5 |
| 2009 | 0.8 | 1.1 | -0.1 | -0.3 | -0.2 | 0.4 | 0.2 | 0 | 0.1 | -0.2 | 0.3 | 0.7 | 3 |
| 2010 | -0.1 | 0.6 | 0 | -0.2 | 0.4 | -0.1 | 0.3 | 0.3 | -0.1 | -0.1 | 0.9 | 0.2 | 2.1 |
| 2011 | 0.1 | 0.1 | 0.4 | 0.3 | -0.3 | 0.3 | 0.7 | 0.2 | -1.2 | 0.1 | 0.1 | 0 | 0.7 |
| 2012 | 0 | 0.4 | 0 | 0.1 | -0.6 | 0.7 | 0.1 | 0 | 0.4 | 0.1 | 0 | 0.1 | 1.3 |
| 2013 | 0.1 | -0.2 | -0.2 | 0.3 | -1 | 1.3 | -0.3 | 0 | -0.1 | -0.4 | -0.1 | -0.1 | -0.7 |
| 2014 | -0.3 | 0 | 0.3 | 0.1 | 0 | -0.4 | -0.8 | 0.1 | 0.4 | -0.1 | -0.4 | -0.6 | -1.6 |
| 2015 | 0.1 | 0.1 | 0.4 | 0 | -0.4 | 0.5 | 0.3 | -0.3 | 0.2 | -0.2 | 0.2 | -0.1 | 0.8 |
| 2016 | -0.4 | 0.9 | 0.4 | -0.1 | 0 | -0.1 | -0.2 | -0.3 | 0.2 | -0.1 | -0.7 | 0 | -0.5 |
| 2017 | 0 | -0.2 | 0 | -0.1 | 0.2 | -0.1 | 0.1 | 0 | 0.3 | 0.1 | 0.3 | 0.1 | 0.7 |
| 2018 | -0.3 | -0.5 | 0.5 | -0.3 | -0.5 | 0 | -0.4 | -0.2 | 0.2 | 0.6 | 0.3 | 0.3 | -0.4 |
| 2019 | -0.1 | -0.3 | 0.4 | 0 | -0.2 | 0.9 | 0.3 | 0.4 | -0.3 | 0.6 | -0.2 | 0.1 | 1.6 |
| 2020 | 0.3 | -0.4 | -4.9 | -0.4 | 0.5 | 0.4 | 0.4 | 0.9 | 0.2 | -0.3 | 0.1 | 0.1 | -3.1 |
| 2021 | 0.5 | 0.9 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.7 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-10-11 25.7 SPY 155. -0.00480 0.0094 0.0514 0.004 0.149 0.376 0.991 GLD 73.9 7.50e-3 0.0143
2 2007-10-12 25.7 SPY 156. 0.0055 0.0031 0.0498 0.0097 0.157 0.389 0.939 GLD 74.6 9.20e-3 0.0162
3 2007-10-15 25.7 SPY 155. -0.0084 -0.0001 0.041 0.0017 0.137 0.390 0.842 GLD 75.1 7.40e-3 0.036
4 2007-10-16 25.7 SPY 154. -0.0079 -0.0173 0.0384 -0.0045 0.126 0.390 0.817 GLD 75.1 -3.00e-4 0.0278
5 2007-10-17 25.8 SPY 154. 0.0031 -0.0126 0.0117 -0.0053 0.127 0.386 0.739 GLD 74.5 -8.30e-3 0.0155
6 2007-10-18 25.9 SPY 154. -0.0036 -0.0114 0.0022 0.00120 0.127 0.376 0.776 GLD 76 2.01e-2 0.0283
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
